COGO routines don't join in 3D but report in 3D.
If you click on such a line it gives the grade and its end point elevations but that's from the point data base information.
In reality they are 2D.

Try drawing a line and use END snap and snap to the end of a line created by COGO and then to the end of another similar point.
That line will be at elevation zero.

Is this what you are referring to ? When you see the elevations of the line when clicked on?

However if you have AutoMap lines then that depends on the settings.
But the COGO routine won't read those AutoMap settings and draw them according to the 'Join Line' options as set from there.
It will read the layer settings but not the elevation settings which is a bit confusing of logic.
And beware if you have 3D lines in AutoMap and do a scale or rotate or any combination the points move but not the 3D linework.